
@article{smith_observational_2011,
	title = {Observational learning},
	url = {http://www.econ.ku.dk/Sorensen/papers/observational-learning.pdf},
	urldate = {2017-02-09},
	journal = {The New Palgrave Dictionary of Economics Online Edition},
	author = {Smith, Lones and S{\o}rensen, Peter Norman},
	year = {2011},
	keywords = {survey, herding, refrep2},
	pages = {29--52},
	file = {[PDF] ku.dk:/home/e2/Zotero/storage/453MIHUZ/Smith and S{\o}rensen - 2011 - Observational learning.pdf:application/pdf}
}

@article{smith_pathological_2000,
	title = {Pathological outcomes of observational learning},
	volume = {68},
	url = {https://doi.org/10.1111/1468-0262.00113},
	number = {2},
	urldate = {2017-02-09},
	journal = {Econometrica},
	author = {Smith, Lones and S{\o}rensen, Peter},
	year = {2000},
	keywords = {herding, refrep2},
	pages = {371--398},
	file = {[PDF] mit.edu:/home/e2/Zotero/storage/Q4RJW6Z6/Smith and S{\o}rensen - 2000 - Pathological outcomes of observational learning.pdf:application/pdf;1468-0262.00113.pdf:/home/e2/Zotero/storage/97YUN2SF/1468-0262.00113.pdf:application/pdf}
}

@article{duffie_over--counter_2005,
	title = {Over-the-counter markets},
	volume = {73},
	url = {https://doi.org/10.1111/j.1468-0262.2005.00639.x},
	number = {6},
	journal = {Econometrica},
	author = {Duffie, Darrell and G{\^a}rleanu, Nicolae and Pedersen, Lasse Heje},
	year = {2005},
	pages = {1815--1847},
	file = {Full Text:/home/e2/Zotero/storage/5ZLS9LT7/Duffie et al. - 2005 - Over-the-counter markets.pdf:application/pdf}
}

@article{odders-white_occurrence_2000,
	title = {On the occurrence and consequences of inaccurate trade classification},
	volume = {3},
	url = {https://doi.org/10.1016/S1386-4181(00)00006-9},
	number = {3},
	journal = {Journal of Financial Markets},
	author = {Odders-White, Elizabeth R.},
	year = {2000},
	pages = {259--286},
	file = {Full Text:/home/e2/Zotero/storage/DNSX79FT/Odders-White - 2000 - On the occurrence and consequences of inaccurate t.pdf:application/pdf}
}

@article{lee_inferring_1991,
	title = {Inferring trade direction from intraday data},
	volume = {46},
	url = {https://doi.org/10.1111/j.1540-6261.1991.tb02683.x},
	number = {2},
	journal = {The Journal of Finance},
	author = {Lee, Charles MC and Ready, Mark J.},
	year = {1991},
	pages = {733--746}
}

@article{roll_simple_1984,
	title = {A simple implicit measure of the effective bid-ask spread in an efficient market},
	volume = {39},
	url = {https://doi.org/10.1111/j.1540-6261.1984.tb03897.x},
	number = {4},
	journal = {The Journal of finance},
	author = {Roll, Richard},
	year = {1984},
	pages = {1127--1139}
}

@article{amihud_illiquidity_2002,
	title = {Illiquidity and stock returns: cross-section and time-series effects},
	volume = {5},
	shorttitle = {Illiquidity and stock returns},
	url = {https://doi.org/10.1016/S1386-4181(01)00024-6},
	number = {1},
	journal = {Journal of financial markets},
	author = {Amihud, Yakov},
	year = {2002},
	pages = {31--56}
}

@book{hasbrouck_empirical_2007,
	title = {Empirical market microstructure: {The} institutions, economics, and econometrics of securities trading},
	shorttitle = {Empirical market microstructure},
	publisher = {Oxford University Press},
	author = {Hasbrouck, Joel},
	year = {2007},
	file = {Full Text:/home/e2/Zotero/storage/VFFYRTDV/Hasbrouck - 2007 - Empirical market microstructure The institutions,.pdf:application/pdf}
}

@article{parlour_price_1998,
	title = {Price {Dynamics} in {Limit} {Order} {Markets}},
	volume = {11},
	issn = {0893-9454},
	url = {https://doi.org/10.1093/rfs/11.4.789},
	abstract = {Abstract.  This article presents a one-tick dynamic model of a limit order market. Agents choose to submit a limit order or a market order depending on the stat},
	language = {en},
	number = {4},
	urldate = {2020-02-24},
	journal = {The Review of Financial Studies},
	author = {Parlour, Christine A.},
	month = oct,
	year = {1998},
	pages = {789--816},
	file = {Full Text PDF:/home/e2/Zotero/storage/HF9ZRJ3U/Parlour - 1998 - Price Dynamics in Limit Order Markets.pdf:application/pdf}
}

@article{madhavan_why_1997,
	title = {Why {Do} {Security} {Prices} {Change}? {A} {Transaction}-{Level} {Analysis} of {NYSE} {Stocks}},
	volume = {10},
	issn = {0893-9454},
	shorttitle = {Why {Do} {Security} {Prices} {Change}?},
	url = {https://doi.org/10.1093/rfs/10.4.1035},
	abstract = {Abstract.  This article develops and tests a structural model of intraday price formation that embodies public information shocks and microstructure effects. We},
	language = {en},
	number = {4},
	urldate = {2020-02-24},
	journal = {The Review of Financial Studies},
	author = {Madhavan, Ananth and Richardson, Matthew and Roomans, Mark},
	month = oct,
	year = {1997},
	pages = {1035--1064},
	file = {Full Text PDF:/home/e2/Zotero/storage/Q6XFCHZ8/Madhavan et al. - 1997 - Why Do Security Prices Change A Transaction-Level.pdf:application/pdf}
}

@article{lyons_tests_1995,
	title = {Tests of microstructural hypotheses in the foreign exchange market},
	volume = {39},
	issn = {0304-405X},
	url = {https://doi.org/10.1016/0304-405X(95)00832-Y},
	abstract = {Data in this paper support both the inventory-control and asymmetric-information approaches to microstructure theory. Strong evidence of an inventory-control effect on price is new. The transactions dataset chronicles a trading week of a spot foreign exchange dealer whose daily volume averages over \$1 billion. In addition to controlling inventory with his own price, the dealer also lays off inventory at other dealers' prices and through brokers. These results highlight the importance of inventory-control theory in understanding trading in this market.},
	language = {en},
	number = {2},
	urldate = {2020-02-24},
	journal = {Journal of Financial Economics},
	author = {Lyons, Richard K.},
	month = oct,
	year = {1995},
	keywords = {Foreign exchange, Information, Inventory, Microstructure},
	pages = {321--351},
	file = {ScienceDirect Full Text PDF:/home/e2/Zotero/storage/B6QQ2DDP/Lyons - 1995 - Tests of microstructural hypotheses in the foreign.pdf:application/pdf}
}

@article{huang_components_1997,
	title = {The {Components} of the {Bid}-{Ask} {Spread}: {A} {General} {Approach}},
	volume = {10},
	issn = {0893-9454},
	shorttitle = {The {Components} of the {Bid}-{Ask} {Spread}},
	url = {https://doi.org/10.1093/rfs/10.4.995},
	abstract = {Abstract.  A simple time-series market microstructure model is constructed within which existing models of spread components are reconciled. We show that existi},
	language = {en},
	number = {4},
	urldate = {2020-02-24},
	journal = {The Review of Financial Studies},
	author = {Huang, Roger D. and Stoll, Hans R.},
	month = oct,
	year = {1997},
	pages = {995--1034},
	file = {Full Text PDF:/home/e2/Zotero/storage/9BEJRH92/Huang and Stoll - 1997 - The Components of the Bid-Ask Spread A General Ap.pdf:application/pdf}
}

@article{hasbrouck_summary_1991,
	title = {The {Summary} {Informativeness} of {Stock} {Trades}: {An} {Econometric} {Analysis}},
	volume = {4},
	issn = {0893-9454},
	shorttitle = {The {Summary} {Informativeness} of {Stock} {Trades}},
	url = {https://doi.org/10.1093/rfs/4.3.571},
	abstract = {Abstract.  In a security market with asymmetrically informed participants, trades are signals of private information. In this article, new measures of trade inf},
	language = {en},
	number = {3},
	urldate = {2020-02-24},
	journal = {The Review of Financial Studies},
	author = {Hasbrouck, Joel},
	month = jul,
	year = {1991},
	pages = {571--595},
	file = {Full Text PDF:/home/e2/Zotero/storage/JNBPCH8E/Hasbrouck - 1991 - The Summary Informativeness of Stock Trades An Ec.pdf:application/pdf}
}

@article{hasbrouck_measuring_1991,
	title = {Measuring the {Information} {Content} of {Stock} {Trades}},
	volume = {46},
	copyright = {{\textcopyright} 1991 the American Finance Association},
	issn = {1540-6261},
	url = {https://doi.org/10.1111/j.1540-6261.1991.tb03749.x},
	abstract = {This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE issues suggest: a trade's full price impact arrives only with a protracted lag; the impact is a positive and concave function of the trade size; large trades cause the spread to widen; trades occurring in the face of wide spreads have larger price impacts; and, information asymmetries are more significant for smaller firms.},
	language = {en},
	number = {1},
	urldate = {2020-02-24},
	journal = {The Journal of Finance},
	author = {Hasbrouck, Joel},
	year = {1991},
	pages = {179--207},
	file = {Submitted Version:/home/e2/Zotero/storage/E5Z3497V/Hasbrouck - 1991 - Measuring the Information Content of Stock Trades.pdf:application/pdf}
}

@article{hasbrouck_trades_1988,
	title = {Trades, quotes, inventories, and information},
	volume = {22},
	issn = {0304-405X},
	url = {https://doi.org/10.1016/0304-405X(88)90070-0},
	abstract = {This empirical examination of the relation between trades and quote revisions for New York Stock Exchange-listed stocks is designed to ascertain asymmetric-information and inventory-control effects. This study finds that negative autocorrelation in trades consistent with inventory-control behavior characterizes low-volume stocks, but not high-volume stocks. The evidence of inventory control in the impact of trades on quote revisions is inconclusive. The information content of trades, on the other hand, is found to be substantial. There is also strong evidence that large trades convey more information than small trades.},
	language = {en},
	number = {2},
	urldate = {2020-02-24},
	journal = {Journal of Financial Economics},
	author = {Hasbrouck, Joel},
	month = dec,
	year = {1988},
	pages = {229--252},
	file = {ScienceDirect Full Text PDF:/home/e2/Zotero/storage/5PARPBLC/Hasbrouck - 1988 - Trades, quotes, inventories, and information.pdf:application/pdf}
}

@article{grammig_knowing_2001,
	title = {Knowing me, knowing you:: {Trader} anonymity and informed trading in parallel markets},
	volume = {4},
	issn = {1386-4181},
	shorttitle = {Knowing me, knowing you},
	url = {https://doi.org/10.1016/S1386-4181(01)00018-0},
	abstract = {In this paper we empirically analyze whether the degree of trader anonymity is related to the probability of information-based trading. We use data from the German stock market where non-anonymous traditional floor based exchanges co-exist with an anonymous computerized trading system. We use an extended version of the Easley et al. (J. Finance 51 (1996) 1405) model that allows for simultaneous estimation for two parallel markets. We find that the probability of informed trading is significantly lower in the floor based trading system. We further document that the size of the spread and the adverse selection component are positively related to the estimated probabilities of information-based trading.},
	language = {en},
	number = {4},
	urldate = {2020-02-24},
	journal = {Journal of Financial Markets},
	author = {Grammig, Joachim and Schiereck, Dirk and Theissen, Erik},
	month = oct,
	year = {2001},
	keywords = {Anonymity, Informed trading, Multi-market trading},
	pages = {385--412},
	file = {ScienceDirect Full Text PDF:/home/e2/Zotero/storage/A6M9UYA8/Grammig et al. - 2001 - Knowing me, knowing you Trader anonymity and inf.pdf:application/pdf}
}

@article{glosten_bid_1985,
	title = {Bid, ask and transaction prices in a specialist market with heterogeneously informed traders},
	volume = {14},
	issn = {0304-405X},
	url = {https://doi.org/10.1016/0304-405X(85)90044-3},
	abstract = {The presence of traders with superior information leads to a positive bid-ask spread even when the specialist is risk-neutral and makes zero expected profits. The resulting transaction prices convey information, and the expectation of the average spread squared times volume is bounded by a number that is independent of insider activity. The serial correlation of transaction price differences is a function of the proportion of the spread due to adverse selection. A bid-ask spread implies a divergence between observed returns and realizable returns. Observed returns are approximately realizable returns plus what the uninformed anticipate losing to the insiders.},
	language = {en},
	number = {1},
	urldate = {2020-02-24},
	journal = {Journal of Financial Economics},
	author = {Glosten, Lawrence R. and Milgrom, Paul R.},
	month = mar,
	year = {1985},
	pages = {71--100},
	file = {ScienceDirect Full Text PDF:/home/e2/Zotero/storage/3C3I7GDK/Glosten and Milgrom - 1985 - Bid, ask and transaction prices in a specialist ma.pdf:application/pdf}
}

@article{glosten_is_1994,
	title = {Is the {Electronic} {Open} {Limit} {Order} {Book} {Inevitable}?},
	volume = {49},
	copyright = {{\textcopyright} 1994 the American Finance Association},
	issn = {1540-6261},
	url = {https://doi.org/10.1111/j.1540-6261.1994.tb02450.x},
	abstract = {Under fairly general conditions, the article derives the equilibrium price schedule determined by the bids and offers in an open limit order book. The analysis shows: (1) the order book has a small-trade positive bid-ask spread, and limit orders profit from small trades; (2) the electronic exchange provides as much liquidity as possible in extreme situations; (3) the limit order book does not invite competition from third market dealers, while other trading institutions do; (4) If an entering exchange earns nonnegative trading profits, the consolidated price schedule matches the limit order book price schedule.},
	language = {en},
	number = {4},
	urldate = {2020-02-24},
	journal = {The Journal of Finance},
	author = {Glosten, Lawrence R.},
	year = {1994},
	pages = {1127--1161}
}

@article{foucault_limit_2005,
	title = {Limit {Order} {Book} as a {Market} for {Liquidity}},
	volume = {18},
	issn = {0893-9454},
	url = {https://doi.org/10.1093/rfs/hhi029},
	abstract = {Abstract.  We develop a dynamic model of a limit order market populated by strategic liquidity traders of varying impatience. In equilibrium, patient traders te},
	language = {en},
	number = {4},
	urldate = {2020-02-24},
	journal = {The Review of Financial Studies},
	author = {Foucault, Thierry and Kadan, Ohad and Kandel, Eugene},
	month = dec,
	year = {2005},
	pages = {1171--1217},
	file = {Full Text PDF:/home/e2/Zotero/storage/X6M2STM2/Foucault et al. - 2005 - Limit Order Book as a Market for Liquidity.pdf:application/pdf}
}

@article{easley_liquidity_1996,
	title = {Liquidity, {Information}, and {Infrequently} {Traded} {Stocks}},
	volume = {51},
	copyright = {{\textcopyright} 1996 the American Finance Association},
	issn = {1540-6261},
	url = {https://doi.org/10.1111/j.1540-6261.1996.tb04074.x},
	abstract = {This article investigates whether differences in information-based trading can explain observed differences in spreads for active and infrequently traded stocks. Using a new empirical technique, we estimate the risk of information-based trading for a sample of New York Stock Exchange (NYSE) listed stocks. We use the information in trade data to determine how frequently new information occurs, the composition of trading when it does, and the depth of the market for different volume-decile stocks. Our most important empirical result is that the probability of information-based trading is lower for high volume stocks. Using regressions, we provide evidence of the economic importance of information-based trading on spreads.},
	language = {en},
	number = {4},
	urldate = {2020-02-24},
	journal = {The Journal of Finance},
	author = {Easley, David and Kiefer, Nicholas M. and O'Hara, Maureen and Paperman, Joseph B.},
	year = {1996},
	pages = {1405--1436},
	file = {Full Text PDF:/home/e2/Zotero/storage/NHEQXQNP/Easley et al. - 1996 - Liquidity, Information, and Infrequently Traded St.pdf:application/pdf}
}

@article{easley_is_2002,
	title = {Is {Information} {Risk} a {Determinant} of {Asset} {Returns}?},
	volume = {57},
	copyright = {{\textcopyright} 2002 the American Finance Association},
	issn = {1540-6261},
	url = {https://doi.org/10.1111/1540-6261.00493},
	abstract = {We investigate the role of information-based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, we derive a measure of the probability of information-based trading, and we estimate this measure using data for individual NYSE-listed stocks for 1983 to 1998. We then incorporate our estimates into a Fama and French (1992) asset-pricing framework. Our main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year.},
	language = {en},
	number = {5},
	urldate = {2020-02-24},
	journal = {The Journal of Finance},
	author = {Easley, David and Hvidkjaer, Soeren and O'Hara, Maureen},
	year = {2002},
	pages = {2185--2221},
	file = {Full Text PDF:/home/e2/Zotero/storage/USUBM9S8/Easley et al. - 2002 - Is Information Risk a Determinant of Asset Returns.pdf:application/pdf}
}

@article{foucault_order_1999,
	title = {Order flow composition and trading costs in a dynamic limit order market},
	volume = {2},
	issn = {1386-4181},
	url = {https://doi.org/10.1016/S1386-4181(98)00012-3},
	abstract = {This article provides a game theoretic model of price formation and order placement decisions in a dynamic limit order market. Investors can choose to either post limit orders or submit market orders. Limit orders result in better execution prices but face a risk of non-execution and a winner's curse problem. Solving for the equilibrium of this dynamic game, closed-form solutions for the order placement strategies are obtained. Thus, testable implications for the cross-sectional behavior of the mix between market and limit orders and trading costs in limit order markets are derived.},
	language = {en},
	number = {2},
	urldate = {2020-02-24},
	journal = {Journal of Financial Markets},
	author = {Foucault, Thierry},
	month = may,
	year = {1999},
	keywords = {Limit and market orders, Limit order markets, Market microstructure, Order flow composition, Trading costs},
	pages = {99--134},
	file = {ScienceDirect Full Text PDF:/home/e2/Zotero/storage/M8DHHKK5/Foucault - 1999 - Order flow composition and trading costs in a dyna.pdf:application/pdf}
}

@article{glosten_estimating_1988,
	title = {Estimating the components of the bid/ask spread},
	volume = {21},
	url = {https://doi.org/10.1016/0304-405X(88)90034-7},
	number = {1},
	journal = {Journal of financial Economics},
	author = {Glosten, Lawrence R. and Harris, Lawrence E.},
	year = {1988},
	pages = {123--142},
	file = {Full Text:/home/e2/Zotero/storage/W3ZFVLDF/Glosten and Harris - 1988 - Estimating the components of the bidask spread.pdf:application/pdf}
}

@article{kyle_continuous_1985,
	title = {Continuous auctions and insider trading},
	url = {https://doi.org/10.2307/1913210},
	journal = {Econometrica: Journal of the Econometric Society},
	author = {Kyle, Albert S.},
	year = {1985},
	pages = {1315--1335},
	file = {Full Text:/home/e2/Zotero/storage/N8N3G3R8/Kyle - 1985 - Continuous auctions and insider trading.pdf:application/pdf}
}

@article{goldstein_eighths_2000,
	title = {Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the {NYSE}},
	volume = {56},
	issn = {0304-405X},
	shorttitle = {Eighths, sixteenths, and market depth},
	url = {https://doi.org/10.1016/S0304-405X(99)00061-6},
	abstract = {Using limit order data provided by the NYSE, we investigate the impact of reducing the minimum tick size on the liquidity of the market. While both spreads and depths (quoted and on the limit order book) declined after the NYSE's change from eighths to sixteenths, depth declined throughout the entire limit order book as well. The combined effect of smaller spreads and reduced cumulative limit order book depth has made liquidity demanders trading small orders better off; however, traders who submitted larger orders in lower volume stocks did not benefit, especially if those stocks were low priced.},
	language = {en},
	number = {1},
	urldate = {2020-03-09},
	journal = {Journal of Financial Economics},
	author = {Goldstein, Michael A. and Kavajecz, Kenneth A.},
	month = apr,
	year = {2000},
	keywords = {Depth, Limit orders, Liquidity provision, Tick size},
	pages = {125--149},
	file = {ScienceDirect Full Text PDF:/home/e2/Zotero/storage/FCT3ZWHU/Goldstein and A. Kavajecz - 2000 - Eighths, sixteenths, and market depth changes in .pdf:application/pdf}
}

@article{amihud_liquidity_1991,
	title = {Liquidity, {Maturity}, and the {Yields} on {U}.{S}. {Treasury} {Securities}},
	volume = {46},
	copyright = {{\textcopyright} 1991 the American Finance Association},
	issn = {1540-6261},
	url = {https://doi.org/10.1111/j.1540-6261.1991.tb04623.x},
	abstract = {The effects of asset liquidity on expected returns for assets with infinite maturities (stocks) are examined for bonds (Treasury notes and bills with matched maturities of less than 6 months). The yield to maturity is higher on notes, which have lower liquidity. The yield differential between notes and bills is a decreasing and convex function of the time to maturity. The results provide a robust confirmation of the liquidity effect in asset pricing.},
	language = {en},
	number = {4},
	urldate = {2020-04-07},
	journal = {The Journal of Finance},
	author = {Amihud, Yakov and Mendelson, Haim},
	year = {1991},
	note = {\_eprint: https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.1991.tb04623.x},
	pages = {1411--1425},
	file = {Full Text:/home/e2/Zotero/storage/MC2BATVA/Amihud and Mendelson - 1991 - Liquidity, maturity, and the yields on US Treasury.pdf:application/pdf}
}

@article{amihud_asset_1986,
	title = {Asset pricing and the bid-ask spread},
	volume = {17},
	issn = {0304-405X},
	url = {https://doi.org/10.1016/0304-405X(86)90065-6},
	abstract = {This paper studies the effect of the bid-ask spread on asset pricing. We analyze a model in which investors with different expected holding periods trade assets with different relative spreads. The resulting testable hypothesis is that market-observed expexted return is an increasing and concave function of the spread. We test this hypothesis, and the empirical results are consistent with the predictions of the model.},
	language = {en},
	number = {2},
	urldate = {2020-04-07},
	journal = {Journal of Financial Economics},
	author = {Amihud, Yakov and Mendelson, Haim},
	month = dec,
	year = {1986},
	pages = {223--249}
}

@article{bongaerts_derivative_2011,
	title = {Derivative {Pricing} with {Liquidity} {Risk}: {Theory} and {Evidence} from the {Credit} {Default} {Swap} {Market}},
	volume = {66},
	copyright = {{\textcopyright} 2011 the American Finance Association},
	issn = {1540-6261},
	shorttitle = {Derivative {Pricing} with {Liquidity} {Risk}},
	url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.2010.01630.x},
	abstract = {We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short-selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short-sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of liquidity risk is different for derivatives than for positive-net-supply assets, and depends on investors' net nontraded risk exposure. We estimate this model for the credit default swap market. We find strong evidence for an expected liquidity premium earned by the credit protection seller. The effect of liquidity risk is significant but economically small.},
	language = {en},
	number = {1},
	urldate = {2020-04-07},
	journal = {The Journal of Finance},
	author = {Bongaerts, Dion and De Jong, Frank and Driessen, Joost},
	year = {2011},
	note = {\_eprint: https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.2010.01630.x},
	pages = {203--240},
	file = {Full Text PDF:/home/e2/Zotero/storage/TMY3NY8R/Bongaerts et al. - 2011 - Derivative Pricing with Liquidity Risk Theory and.pdf:application/pdf}
}

@article{acharya_asset_2005,
	title = {Asset pricing with liquidity risk},
	volume = {77},
	issn = {0304-405X},
	url = {https://doi.org/10.1016/j.jfineco.2004.06.007},
	abstract = {This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-adjusted capital asset pricing model, a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security's liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity.},
	language = {en},
	number = {2},
	urldate = {2020-04-07},
	journal = {Journal of Financial Economics},
	author = {Acharya, Viral V. and Pedersen, Lasse Heje},
	month = aug,
	year = {2005},
	keywords = {Flight to liquidity, Frictions, Liquidity risk, Liquidity-adjusted CAPM, Transaction costs},
	pages = {375--410},
	file = {Full Text:/home/e2/Zotero/storage/MAD9RFP3/Acharya and Pedersen - 2005 - Asset pricing with liquidity risk.pdf:application/pdf}
}

@article{duffie_valuation_2007,
	title = {Valuation in {Over}-the-{Counter} {Markets}},
	volume = {20},
	issn = {0893-9454},
	url = {https://academic.oup.com/rfs/article/20/6/1865/1575887},
	doi = {10.1093/rfs/hhm037},
	abstract = {Abstract.  We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts},
	language = {en},
	number = {6},
	urldate = {2020-04-07},
	journal = {The Review of Financial Studies},
	author = {Duffie, Darrell and G{\^a}rleanu, Nicolae and Pedersen, Lasse Heje},
	month = nov,
	year = {2007},
	note = {Publisher: Oxford Academic},
	pages = {1865--1900},
	file = {Full Text:/home/e2/Zotero/storage/SCL3QW4L/Duffie et al. - 2007 - Valuation in Over-the-Counter Markets.pdf:application/pdf}
}

@techreport{nica_cryptocurrencies_2017,
	address = {Rochester, NY},
	type = {{SSRN} {Scholarly} {Paper}},
	title = {Cryptocurrencies: {Economic} {Benefits} and {Risks}},
	shorttitle = {Cryptocurrencies},
	url = {https://dx.doi.org/10.2139/ssrn.3059856},
	abstract = {Since the emergence of Bitcoin in 2009, the number of cryptocurrencies, their applications and market value grew significantly. There is a surge in the number of businesses, financial institutions and authorities, investors and governments interested in the adaptation of the cryptocurrencies and/or blockchain technology. In this report, we aim to provide an overview of the economic benefits and risks of cryptocurrencies for researchers and students in economics, finance, mathematics and computer science. The report offers the summary of the academic and non-academic literature concerning this topic published to this day as well as the list of future research perspectives, review of Bank of England research on cryptocurrencies, and contributions from University of Manchester researchers specialising in various academic fields.},
	language = {en},
	number = {ID 3059856},
	urldate = {2020-04-14},
	institution = {Social Science Research Network},
	author = {Nica, Octavian and Piotrowska, Karolina and Schenk-Hopp{\'e}, Klaus Reiner},
	month = oct,
	year = {2017},
	doi = {10.2139/ssrn.3059856},
	keywords = {altcoin, Bitcoin, blockchain, Cryptocurrencies, decentralisation, financial stability, ICO, market efficiency},
	file = {Nica et al. - 2017 - Cryptocurrencies Economic Benefits and Risks.pdf:/home/e2/Zotero/storage/VFQ8KSNN/Nica et al. - 2017 - Cryptocurrencies Economic Benefits and Risks.pdf:application/pdf}
}

@article{kirilenko_moores_2013,
	title = {Moore's {Law} versus {Murphy}'s {Law}: {Algorithmic} {Trading} and {Its} {Discontents}},
	volume = {27},
	url = {https://dx.doi.org/10.1257/jep.27.2.51},
	language = {en},
	number = {2},
	journal = {The Journal of Economic Perspectives},
	author = {Kirilenko, Andrei A. and Lo, Andrew W.},
	year = {2013},
	pages = {51--72},
	file = {Kirilenko and Lo - 2013 - Moore's Law versus Murphy's Law Algorithmic Tradi.pdf:/home/e2/Zotero/storage/TDXW33YS/Kirilenko and Lo - 2013 - Moore's Law versus Murphy's Law Algorithmic Tradi.pdf:application/pdf}
}

@book{berle_modern_1932,
	title = {The modern corporation and private property},
	publisher = {Transaction publishers},
	author = {Berle, Adolf Augustus and Means, Gardiner Gardiner Coit},
	year = {1932}
}

@techreport{beason_anatomy_2019,
	address = {Rochester, NY},
	type = {{SSRN} {Scholarly} {Paper}},
	title = {The {Anatomy} of {Trading} {Algorithms}},
	url = {http://dx.doi.org/10.2139/ssrn.3497001},
	abstract = {We study the anatomy of four widely used standardized institutional trading algorithms representing \$675 billion in demand from 961 institutions between 2012 and 2016. The central tradeoff in these algorithms is between the desire to trade and transaction costs. Large parent orders generate hundreds of child orders which strategically employ the price, time, and display priority rules embodied in market structure to navigate this tradeoff. The distribution of child orders is non-random, generating strategic runs which oscillate between providing and taking liquidity. Price impact occurs both at the time an order is submitted to the book (regardless of whether it is filled), and at the time of execution. Passive child orders have much lower likelihood of execution but still incur substantial price impact. Conversely, marketable orders, even though immediately executable, do not necessarily guarantee execution and generate even larger price impact.},
	language = {en},
	number = {ID 3497001},
	urldate = {2020-04-21},
	institution = {Social Science Research Network},
	author = {Beason, Tyler and Wahal, Sunil},
	month = dec,
	year = {2019},
	doi = {10.2139/ssrn.3497001},
	keywords = {Institutional Trading, Market Microstructure, Trading Algorithms, Transaction Costs},
	file = {Beason and Wahal - 2019 - The Anatomy of Trading Algorithms.pdf:/home/e2/Zotero/storage/QNSX2NH2/Beason and Wahal - 2019 - The Anatomy of Trading Algorithms.pdf:application/pdf}
}

@article{biais_equilibrium_2015,
	title = {Equilibrium fast trading},
	volume = {116},
	issn = {0304-405X},
	url = {https://doi.org/10.1016/j.jfineco.2015.03.004},
	abstract = {High speed market connections improve investors? ability to search for attractive quotes in fragmented markets, raising gains from trade. They also enable fast traders to obtain information before slow traders, generating adverse selection, and thus negative externalities. When investing in fast trading technologies, institutions do not internalize these externalities. Accordingly, they overinvest in equilibrium. Completely banning fast trading is dominated by offering two types of markets: one accepting fast traders, the other banning them. Utilitarian welfare is maximized with (i) a single market type on which fast and slow traders coexist and (ii) Pigovian taxes on investment in the fast trading technology.},
	language = {en},
	number = {2},
	urldate = {2020-04-21},
	journal = {Journal of Financial Economics},
	author = {Biais, Bruno and Foucault, Thierry and Moinas, Sophie},
	month = may,
	year = {2015},
	keywords = {Welfare, Externalities, High-frequency trading},
	pages = {292--313},
	file = {bfm_sept2014.pdf:/home/e2/Zotero/storage/WL8Z8CRU/bfm_sept2014.pdf:application/pdf;Submitted Version:/home/e2/Zotero/storage/6RZL7C3P/Biais et al. - 2015 - Equilibrium fast trading.pdf:application/pdf}
}

@article{budish_high-frequency_2015,
	title = {The high-frequency trading arms race: {Frequent} batch auctions as a market design response},
	volume = {130},
	shorttitle = {The high-frequency trading arms race},
	url = {https://doi.org/10.1093/qje/qjv027},
	number = {4},
	journal = {The Quarterly Journal of Economics},
	author = {Budish, Eric and Cramton, Peter and Shim, John},
	year = {2015},
	note = {Publisher: MIT Press},
	pages = {1547--1621},
	file = {Full Text:/home/e2/Zotero/storage/LJPXXJ3U/Budish et al. - 2015 - The high-frequency trading arms race Frequent bat.pdf:application/pdf}
}

@article{kondor_more_2012,
	title = {The more we know about the fundamental, the less we agree on the price},
	volume = {79},
	url = {https://doi.org/10.1093/restud/rdr051},
	number = {3},
	journal = {The Review of Economic Studies},
	author = {Kondor, P{\'e}ter},
	year = {2012},
	note = {Publisher: Oxford University Press},
	pages = {1175--1207},
	file = {Full Text:/home/e2/Zotero/storage/HYWYQQI9/Kondor - 2012 - The more we know about the fundamental, the less w.pdf:application/pdf}
}

@article{abreu_bubbles_2003,
	title = {Bubbles and crashes},
	volume = {71},
	url = {https://doi.org/10.1111/1468-0262.00393},
	number = {1},
	journal = {Econometrica},
	author = {Abreu, Dilip and Brunnermeier, Markus K.},
	year = {2003},
	note = {Publisher: Wiley Online Library},
	pages = {173--204},
	file = {Abreu and Brunnermeier - 2003 - Bubbles and crashes.pdf:/home/e2/Zotero/storage/WZ7QU42T/Abreu and Brunnermeier - 2003 - Bubbles and crashes.pdf:application/pdf}
}

@techreport{ranaldo_asymmetric_2019,
	address = {Rochester, NY},
	type = {{SSRN} {Scholarly} {Paper}},
	title = {Asymmetric {Information} {Risk} in {FX} {Markets}},
	url = {https://papers.ssrn.com/abstract=3263279},
	abstract = {This work studies the information content of trades in the world{\textquoteright}s largest over-the-counter (OTC) market, the foreign exchange (FX) market. It analyses a novel, comprehensive order flow dataset, distinguishing amongst different groups of market participants and covering a large cross-section of currency pairs. We find compelling evidence of heterogeneous superior information across agents, time and currency pairs, consistent with the asymmetric information theory and OTC market fragmentation. A trading strategy based on the permanent price impact, capturing asymmetric information risk, generates high returns even after accounting for risk, transaction costs and other common Risk factors documented in the FX literature.},
	language = {en},
	number = {ID 3263279},
	urldate = {2020-04-28},
	institution = {Social Science Research Network},
	author = {Ranaldo, Angelo and Somogyi, Fabricius},
	month = apr,
	year = {2019},
	doi = {10.2139/ssrn.3263279},
	keywords = {Asymmetric information, Currency portfolios, Order flow, OTC, Price discovery},
	file = {Submitted Version:/home/e2/Zotero/storage/IZVLPMJY/Ranaldo and Somogyi - 2019 - Asymmetric Information Risk in FX Markets.pdf:application/pdf}
}

@article{bailey_economic_2006,
	title = {The economic consequences of increased disclosure: {Evidence} from international cross-listings},
	volume = {81},
	shorttitle = {The economic consequences of increased disclosure},
	url = {https://doi.org/10.1016/j.jfineco.2005.06.002},
	number = {1},
	journal = {Journal of Financial Economics},
	author = {Bailey, Warren and Karolyi, G. Andrew and Salva, Carolina},
	year = {2006},
	note = {Publisher: Elsevier},
	pages = {175--213},
	file = {Full Text:/home/e2/Zotero/storage/L474P5FE/Bailey et al. - 2006 - The economic consequences of increased disclosure.pdf:application/pdf}
}

@article{bikhchandani_herd_2000,
	title = {Herd {Behavior} in {Financial} {Markets}},
	volume = {47},
	issn = {1020-7635},
	url = {https://doi.org/10.2307/3867650},
	abstract = {This paper provides an overview of the recent theoretical and empirical research on herd behavior in financial markets. It looks at what precisely is meant by herding, the causes of herd behavior, the success of existing studies in identifying the phenomenon, and the effect that herding has on financial markets.},
	number = {3},
	urldate = {2020-05-05},
	journal = {IMF Staff Papers},
	author = {Bikhchandani, Sushil and Sharma, Sunil},
	year = {2000},
	note = {Publisher: Palgrave Macmillan Journals},
	keywords = {herding},
	pages = {279--310},
	file = {JSTOR Full Text PDF:/home/e2/Zotero/storage/YPVTVNS8/Bikhchandani and Sharma - 2000 - Herd Behavior in Financial Markets.pdf:application/pdf}
}

@article{avery_multidimensional_1998,
	title = {Multidimensional {Uncertainty} and {Herd} {Behavior} in {Financial} {Markets}},
	volume = {88},
	issn = {0002-8282},
	url = {https://www.jstor.org/stable/117003},
	abstract = {We study the relationship between asset prices and herd behavior, which occurs when traders follow the trend in past trades. When traders have private information on only a single dimension of uncertainty (the effect of a shock to the asset value), price adjustments prevent herd behavior. Herding arises when there are two dimensions of uncertainty (the existence and effect of a shock), but it need not distort prices because the market discounts the informativeness of trades during herding. With a third dimension of uncertainty (the quality of traders' information), herd behavior can lead to a significant, short-run mispricing.},
	number = {4},
	urldate = {2020-05-05},
	journal = {The American Economic Review},
	author = {Avery, Christopher and Zemsky, Peter},
	year = {1998},
	note = {Publisher: American Economic Association},
	pages = {724--748},
	file = {JSTOR Full Text PDF:/home/e2/Zotero/storage/T9D2WHC7/Avery and Zemsky - 1998 - Multidimensional Uncertainty and Herd Behavior in .pdf:application/pdf}
}

@book{krishna_auction_2009,
	title = {Auction theory},
	isbn = {978-0-12-374507-1},
	url = {https://doi.org/10.1016/C2009-0-22474-3},
	publisher = {Academic press},
	author = {Krishna, Vijay},
	year = {2009}
}

@article{chatterjee_bargaining_1983,
	title = {Bargaining under {Incomplete} {Information}},
	volume = {31},
	url = {https://doi.org/10.1287/opre.31.5.835},
	abstract = {This paper presents and analyzes a bargaining model of bilateral monopoly under uncertainty. Under the bargaining rule proposed, the buyer and the seller each submit sealed offers that determine whether the good in question is sold and the transfer price. The Nash equilibrium solution of this bargaining game implies an offer strategy of each party that is monotonic in its own reservation price and depends on its assessment of the opponent's reservation price. Issues of relative bargaining advantage and efficiency are examined for a number of special cases. Finally, we discuss the appropriateness of the Nash solution concept.},
	number = {5},
	urldate = {2020-05-12},
	journal = {Operations Research},
	author = {Chatterjee, Kalyan and Samuelson, William},
	year = {1983},
	pages = {835--851},
	file = {Chatterjee and Samuelson - 1983 - Bargaining under Incomplete Information.pdf:/home/e2/Zotero/storage/NNC5VFDC/Chatterjee and Samuelson - 1983 - Bargaining under Incomplete Information.pdf:application/pdf}
}

@techreport{bogousslavsky_should_2020,
	address = {Rochester, NY},
	type = {{SSRN} {Scholarly} {Paper}},
	title = {Should {We} {Use} {Closing} {Prices}? {Institutional} {Price} {Pressure} at the {Close}},
	shorttitle = {Should {We} {Use} {Closing} {Prices}?},
	url = {https://papers.ssrn.com/abstract=3485840},
	abstract = {The closing stock price is determined in a special call auction. This single trade accounts for 7.3\% of daily volume in 2018 and is strongly associated with ETF ownership and institutional rebalancing. Strikingly, this huge volume contributes little to price discovery. Closing prices frequently and significantly deviate from closing quote midpoints, but these deviations on average fully revert overnight. Half of the reversal occurs shortly after the close. These price deviations matter for ETF mispricing and put-call parity violations and their ability to predict next-day stock returns. Finally, closing-to-total daily volume negatively predicts future stock returns. Our results raise concerns about an overwhelming reliance on closing prices.},
	language = {en},
	number = {ID 3485840},
	urldate = {2020-06-02},
	institution = {Social Science Research Network},
	author = {Bogousslavsky, Vincent and Muravyev, Dmitriy},
	month = may,
	year = {2020},
	doi = {10.2139/ssrn.3485840},
	file = {Bogousslavsky and Muravyev - 2020 - Should We Use Closing Prices Institutional Price .pdf:/home/e2/Zotero/storage/NX2PS6XI/Bogousslavsky and Muravyev - 2020 - Should We Use Closing Prices Institutional Price .pdf:application/pdf}
}

@techreport{bhattacharya_limit_2020,
	title = {Limit {Order} {Market} under {Asymmetric} {Information}},
	language = {en},
	author = {Bhattacharya, Ayan and Saar, Gideon},
	year = {2020},
	pages = {25},
	file = {Bhattacharya and Saar - Limit Order Market under Asymmetric Information.pdf:/home/e2/Zotero/storage/U96G2884/Bhattacharya and Saar - Limit Order Market under Asymmetric Information.pdf:application/pdf}
}
